Since the CSI 300 index futures officially began trading on April 15, 2010, analysis and predictions of the price fluctuations of Chinese stock index futures prices have become a popular area of active research. In this paper, the Complementary Ensemble Empirical Mode Decomposition (CEEMD) method is used to decompose the sequences of Chinese stock index futures prices into residue terms, low-frequency terms, and high-frequency terms to reveal the fluctuation characteristics over different time scales of the sequences. Then, the CEEMD method is combined with the Particle Swarm Optimization (PSO) algorithm-based Support Vector Machine (SVM) model to forecast Chinese stock index futures prices. The empirical results show that the residue term determines the long-term trend of stock index futures prices. The low-frequency term, which represents medium-term price fluctuations, is mainly affected by policy regulations under the analysis of the Iterated Cumulative Sums of Squares (ICSS) algorithm, whereas short-term market disequilibrium, which is represented by the high-frequency term, plays an important local role in stock index futures price fluctuations. In addition, in forecasting the daily or even intraday price data of Chinese stock index futures, the combination prediction model is superior to the single SVM model, which implies that the accuracy of predicting Chinese stock index futures prices will be improved by considering fluctuation characteristics in different time scales.
An Option Pricing Model Using High Frequency Data
